An Empirical Study On The Relationship Of Term Structure And Macro-Economy

As an important financial variables, the change tendency of Interest rates is important elements of the investment decisions such as asset pricing, arbitrage, hedging, risk management, financial products design, is also an effective anaiysis tool to forecast macro-economic variables of the total output, inflation rate, the forward rate, exchange rate, and the Central Bank formulates monetary policy. Interest rate policy is an important component of China’s monetary policy, is aiso one of the mian tools of monetary. The countries all over the world are aiso use the interest rate leverage to implement the macro-control frequently. People’s Bank of China according to the actual macroscopic economic situation utilizes the interest rate tool to adjust the interest rate level and the interest rate at the right moment, to displays the interest rate the economical leverage and the promotion economy grows with steady steps has the vital significance.Economic theory suggests that the term structure of interest rates contain the major macro-economic information such as the economic growth, inflation and interest rates. With steady progress in China’s market-oriented reform of interest rate, the term structure of interest rates in the financial markets signal guidelines for evolving role. It becomes China’s monetary policy and fiscal policy was the main source of information and operations agent target gradually. So,with the deepening of market-oriented reform of interest rate in China, as well as the further development of capital markets, interest rates as a function of financial resources has become increasingly prominent tool. Study of economic information contained in the term structure of interest rates help to implement appropriate fiscal policy, monetary policy and the policy mix provides theoretical and empirical support is of great theoretical significance and practical significance.This article is first analyzed the interest rate term structure research background and selection of topics of importance at home and abroad as well as the research concerning the interest rate term structure. In chapter Ⅱ of the paper system introduced the term structure of interest rates and macro-economic theory and theory of interest rate term structure model. In the interest rate term structure and macroeconomic theory, this article provides detailed information on the Phillips curve theory, IS-LM curve theory, Taylor theory rules, fees, it is expected that snow equation theory model theory. In the interest rate term structure model theory, with focus on the polynomial estimation model such as highlighting the bootstrap method, polynomial estimation model, Nelson-Siegel model and Nelson-Siegel-Svensson model. Chapter Ⅲ of the paper describes briefly the research in recent years with regard to interest rate term structure to the macro-financial model and the basic idea has been selected for study VAR-ATSM models, and then from the margin to the macro-economic variables for the forecasting capabilities, macroeconomic variables for different periods and different deadlines for interest rate spreads the impact of interest rates in our country in3months period of structural and macroeconomic variables empirical studies have relations. Chapter IV of the paper summarizes some of the conclusions evidence and inspiration.